FLV - Flash video files
You can save them via Safari's Activity window, but you can also extract them from the "Flash Video Cache" with File Juicer, as long as you don't close the browser window showing the video. FLV Files are not cached in Safari's cache but separately in "Flash Video Cache", which is much faster to search than "Temporary Items".
To play FLV files you can use VLC.
Flash with MP4/H264 Video
It has become common to serve MP4/H264 encoded video on web sites. Now File Juicer will also find those if stored in the Flash cache (streamed video is not stored)
If you install Perian (and restart File Juicer), File Jucier can extract the audio from FLV files as AIFF which you can drop into iTunes and turn into mp3 or aac according to your preferences by control-clicking the file.
For more general conversion try ffmpegX which handle most video file formats.